Transparent object shaddows in volume material [Blender Internal]
After a lot of experimentation, my gut feeling says this might be a "bug" or shortcoming of BlenderInternal...

This being said, I'd like to share a workaround (sometimes you're in the unfortunate situation that you just can not switch to the Cycles engine, but have to pull matters trough with BlenderInternal):


the problems arise when other objects with transparent material do intersect with the volumetric material.
thus a partial workaround is to forego such intersections.


In the example shown, we can use the boolean modifier to cut away precisely the intersecting parts. Plus in addition we must take care to avoid fringe artifacts


add a boolean modifier to the cube with the volumetric material. Choose the ground plane as the other object, and switch to set difference operation. For this to work, in the case of the plane (which has no volume), we also need so switch to the "carve" solver (default ist "bmesh").
next we need to apply the modifier. The cube is now cut such as not to overlap below the ground plane anymore. To avoid problems with ray intersection solving, we should move up the cube by 1 blender unit.
Then add again a boolean modifier to the cube with the volumetric material; just this time we'll cut out the space taken by the small light cube. Use again the set difference operation.
next again apply the modifire. Then select the small light cube (which is still there, now sitting within the hole of the volumetric cube). Again to avoid problems with inferior/exterior tests, we should scale the light cube down by a tiny amount, so it is always clear it does not intersect with the volumetric material.


And voila, now it renders as expected:


In practice, it can be quite tedious and maybe impossible to adapt this workaround for the case of a smoke simulation. So bottom line, this is a problem and if anyone knows a better solution.....